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SRTY vs. TZA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SRTY vs. TZA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraPro Short Russell2000 (SRTY) and Direxion Daily Small Cap Bear 3X Shares (TZA). The values are adjusted to include any dividend payments, if applicable.

-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-50.00%
-50.00%
SRTY
TZA

Returns By Period

The year-to-date returns for both investments are quite close, with SRTY having a -40.39% return and TZA slightly higher at -39.83%. Both investments have delivered pretty close results over the past 10 years, with SRTY having a -40.54% annualized return and TZA not far ahead at -40.20%.


SRTY

YTD

-40.39%

1M

-13.07%

6M

-33.60%

1Y

-60.05%

5Y (annualized)

-48.72%

10Y (annualized)

-40.54%

TZA

YTD

-39.83%

1M

-12.79%

6M

-33.19%

1Y

-59.60%

5Y (annualized)

-48.07%

10Y (annualized)

-40.20%

Key characteristics


SRTYTZA
Sharpe Ratio-0.93-0.93
Sortino Ratio-1.43-1.41
Omega Ratio0.840.84
Calmar Ratio-0.58-0.58
Martin Ratio-1.43-1.44
Ulcer Index40.75%40.46%
Daily Std Dev62.75%62.79%
Max Drawdown-99.99%-100.00%
Current Drawdown-99.99%-100.00%

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SRTY vs. TZA - Expense Ratio Comparison

SRTY has a 0.95% expense ratio, which is lower than TZA's 1.11% expense ratio.


TZA
Direxion Daily Small Cap Bear 3X Shares
Expense ratio chart for TZA: current value at 1.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.11%
Expense ratio chart for SRTY: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Correlation

-0.50.00.51.01.0

The correlation between SRTY and TZA is 1.00, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

SRTY vs. TZA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short Russell2000 (SRTY) and Direxion Daily Small Cap Bear 3X Shares (TZA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for SRTY, currently valued at -0.93, compared to the broader market0.002.004.00-0.93-0.93
The chart of Sortino ratio for SRTY, currently valued at -1.43, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.43-1.41
The chart of Omega ratio for SRTY, currently valued at 0.84, compared to the broader market0.501.001.502.002.503.000.840.84
The chart of Calmar ratio for SRTY, currently valued at -0.58, compared to the broader market0.005.0010.0015.00-0.58-0.58
The chart of Martin ratio for SRTY, currently valued at -1.43, compared to the broader market0.0020.0040.0060.0080.00100.00-1.43-1.44
SRTY
TZA

The current SRTY Sharpe Ratio is -0.93, which is comparable to the TZA Sharpe Ratio of -0.93. The chart below compares the historical Sharpe Ratios of SRTY and TZA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio-1.20-1.00-0.80-0.60-0.40JuneJulyAugustSeptemberOctoberNovember
-0.93
-0.93
SRTY
TZA

Dividends

SRTY vs. TZA - Dividend Comparison

SRTY's dividend yield for the trailing twelve months is around 10.55%, more than TZA's 6.27% yield.


TTM2023202220212020201920182017
SRTY
ProShares UltraPro Short Russell2000
10.55%4.93%0.16%0.00%0.95%2.12%0.70%0.04%
TZA
Direxion Daily Small Cap Bear 3X Shares
6.27%5.49%0.00%0.00%1.21%1.57%0.63%0.00%

Drawdowns

SRTY vs. TZA - Drawdown Comparison

The maximum SRTY drawdown since its inception was -99.99%, roughly equal to the maximum TZA drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SRTY and TZA. For additional features, visit the drawdowns tool.


-99.99%-99.99%-99.99%-99.98%-99.98%-99.98%JuneJulyAugustSeptemberOctoberNovember
-99.99%
-99.99%
SRTY
TZA

Volatility

SRTY vs. TZA - Volatility Comparison

ProShares UltraPro Short Russell2000 (SRTY) and Direxion Daily Small Cap Bear 3X Shares (TZA) have volatilities of 24.32% and 24.22%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
24.32%
24.22%
SRTY
TZA